PETROPY - Permutation Entropy

(for MATLAB®)

General Notes

Permutation entropy provides a simple and robust method to estimate
complexity of time series, taking the temporal order of the values
into account.
Furthermore, permutation entropy can be used to determine embedding
parameters or identify couplings between time series. For further
instructions please consider the reference given below.

Usage

H = petropy(x,n,tau,method,accu)

x

time series (N × 1 or 1 × N vector)

n

permutation order

tau

time lag/ time lag vector (length = n-1)

method

method how to deal with equal values in the series'noise' - add small noise to the values in x'same' - allow same rank for equal values'order' - consider order of appearance (first occurence --> lower rank)

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